Pricing asset-or-nothing options using Haar wavelet
This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with respect to...
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| Principais autores: | , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
Allameh Tabataba'i University Press
2024-07-01
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| Serija: | Mathematics and Modeling in Finance |
| Teme: | |
| Online dostop: | https://jmmf.atu.ac.ir/article_17180_23ba57859db880d42ace030d692fae31.pdf |
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